Michael Curcio

74 posts

Michael Curcio

@curcio_ml

quantitative protocol design

Katılım Eylül 2019

224 Takip Edilen180 Takipçiler

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Michael Curcio@curcio_ml·6 Kas

Power perpetual funding rates relate more to the cost of dynamic hedging than supply & demand for the exposure. Powerswap algorithmically guarantees perfect dynamic hedging of a nonlinear position Powerswap.xyz @_Dave__White_

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Michael Curcio retweetledi

noodles@crypto_noodles·27 Nis

If you follow my perp threads, you've probably asked yourself: "How does @GMX_IO make so much $$$?" @0xCrema and I did the research for you 👇👇👇 A Quant's review of @GMX_IO 👇👇👇

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Michael Curcio retweetledi

Ayush Menon@ayushmenon_·22 Nis

Today, almost nobody analyzes protocol risks beyond the surface level. This is a dangerous status quo. Assessing + devising quantitative risk metrics for protocols should become increasingly important moving forward--especially in the quest for widespread adoption of DeFi

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Michael Curcio retweetledi

noodles@crypto_noodles·18 Nis

The most common response to our previous thread on the vAMM ponzi was: "What about @perpprotocol v2?" @0xDosa, @0xAthanase, and I went digging. And the answers will surprise you! 👇👇👇👇👇👇👇

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Michael Curcio retweetledi

noodles@crypto_noodles·15 Nis

You've seen the overnight success, big volume, and big fees of vAMM perps like @perpprotocol v1 and @DriftProtocol But what if I told you it isn't real? 👇👇👇 👇👇👇👇

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Michael Curcio@curcio_ml·15 Nis

@sancapxyz Mcurcio.eth

San Capital@sancapxyz·15 Nis

okay we’re doing an airdrop 🤌 leave your ens or home address or ssn below

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 Fair point... it might balance out in long run. Nice approach though, launch it!

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ayko2718@ayko2718·23 Mar

@curcio_ml Yep, and increase with lower fees in low volatility periods!

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ayko2718@ayko2718·22 Mar

Introducing vol adjusted fee mechanism. A must for protecting LP wealth during volatile times. Conversely this mechanism lowers fee during calmer markets, incentivizes trading and enables DEXes to compete vs CEXes! medium.com/hydraswap/a-wi…

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 Arb volume would decrease with bigger fees

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ayko2718@ayko2718·23 Mar

@curcio_ml we are talking about constant product AMMs which (barring a small fee adjustment) are path independent so all LP compensation comes from fees. Now the source of the fee could be a trade or an reversal/arb. This is captured as 'AMM Velocity'

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 Yes, changing the fee based on vol might feel right, but the actual fees collected in the current system aren’t the fees charged. Its fee + slippage + arb volume from slippage

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 You also end up in the same place, just with a more complex system

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 @guil_lambert During high slippage, AMM LPs actually collect more fees because they collect fees on the original trade + the arb trade that moves the price back to the true price

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ayko2718@ayko2718·23 Mar

@guil_lambert I have not. I have only looked at %fee. The implicit assumption is that AMM price has 0 ‘edge’ - as defined by traditional MMs. So price slippage is not part of LP compensation. What do you think?

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 In traditional markets, MMs change the spreads due to vol (what you propose), but in AMMs, skilled MMs change the system's liquidity to change slippage. Slippage is the spread when volume is not related to liquidity.

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Michael Curcio@curcio_ml·23 Mar

@ayko2718 So for low fee networks during high vol, MMs can add and constantly rebalance concentrated liquidity up to the point where the fees generated equal the vol drag / risk

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Michael Curcio@curcio_ml·21 Mar

@llllvvuu Seems like it would temporarily level the playing field for active liquidity management on V3, but optimal strategy might just change from JIT liquidity bots to short-term liquidity over several blocks (more difficult)

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L@llllvvuu·21 Mar

Have any AMMs taken the tokenholder cut (not that a tokenholder cut is a good idea) not from swaps (increases spread/bleeds LPs) but with a fee on adds/removes (taxes active and/or JIT liquidity management)?

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Michael Curcio@curcio_ml·21 Mar

@X3Finance pretty sure no one will sell you the P^0.5 contract unless they're paid around the expected amount of fees collected from the LP position... so you have no IL but also no profit

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Michael Curcio@curcio_ml·20 Mar

@X3Finance Yes, but it's only high APR if the price doesn't move

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Michael Curcio@curcio_ml·19 Oca

CT talks about “impermanent loss” like it’s a bad thing we can overcome. It’s just a reality of selling convexity/gamma for fees. No IL means no fees.

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Michael Curcio@curcio_ml·5 Mar

@danrobinson @SBF_FTX Of course, alpha is everywhere :)

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Dan Robinson@danrobinson·5 Mar

@curcio_ml @SBF_FTX I can't imagine any real-world asset would have a risk premium that high, but you agree that risk premiums do exist in the real world, right?

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Dan Robinson@danrobinson·4 Mar

So many EV-maximalists in my mentions that I am tempted to tag in @SBF_FTX (Although I think he’d agree with me on this one)

Dan Robinson@danrobinson

The answer is $0.5, even though the expected value of the payoff is $0.75. The reason is hedging. If I sell you a call, I can hedge by buying $50 of the stock. Either I pay you $1 but make $0.5 from the stock, or I lose $0.5 on the stock. So the option costs $0.5 to hedge.

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Keşfet

@GMX_IO @0xCrema @perpprotocol @0xDosa @DriftProtocol @sancapxyz @ayko2718 @guil_lambert